New Issue: JPMorgan prices $4.99 million capped buffered return enhanced notes on indexes, funds

By Jennifer Chiou

New York, Dec. 10 – JPMorgan Chase & Co. priced $4,987,000 of 0% capped buffered return enhanced notes due June 13, 2016 linked to the S&P 500 index with a 60% weight, the iShares MSCI EAFE exchange-traded fund with a 25% weight, the Russell 2000 index with a 10% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 5% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is positive, the payout at maturity will be par plus 1.5 times any basket gain, up to a maximum return of 11.35%.

Investors will receive par if the basket falls by up to 10% and will lose 1% for every 1% decline beyond 10%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Underlying basket:	S&P 500 index (60% weight), iShares MSCI EAFE ETF (25% weight), Russell 2000 index (10% weight), iShares MSCI Emerging Markets ETF (5% weight)
Amount:	$4,987,000
Maturity:	June 13, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.5 times any basket gain, capped at 11.35%; par if basket falls by up to 10%; 1% loss for every 1% decline beyond 10%
Initial levels:	2,059.82 for S&P, $63.06 for EAFE ETF, 1,188.057 for Euro Stoxx, $39.90 for EM ETF
Pricing date:	Dec. 9
Settlement date:	Dec. 12
Agent:	J.P. Morgan Securities LLC
Fees:	0.55%
Cusip:	48127D2W7

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